On Aug 14, 2004, at 2:33 AM, Caglar wrote:
Even if the above equation were estimated, this equation would not
give me coefficients on the variables from the regression
Y_i(t) = X_i(t) + X_i1987 + X_i1988+....+X_i1997
i:1...N while t:1987..1997
I wonder if there is any command in STATA that will include all past
and future values of the explanatory variables for every cross section
over the 1987-1997 time series?
I don't see that this equation makes any sense. For t=1987, you are
regressing y(i,1987) on x(i,1987), x(i,1987), x(i,1988)...x(i,1997):
that is, the 1987 value will appear twice in the list. (Stata will take
care of this, of course, by dropping one of them). Same thing for
t=1988. But what you really want to do here, it seems, is run a
cross-sectional regression in which you regress all firms' y values at
a point in time on values of past, present and future Xs. The easiest
way to do that would be to reshape the data wide, so that X data for a
given year become a variable, as do X data for a given year. Then you
can regress the variable named y_1987 (which will have values for each
firm) on the entire set of X values (one varable per year), and do that
again for y_1988, ... with a foreach or forvalues loop.
Kit
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